Abstract
The paper is conducted to identify the trend and the amount of influence of macroeconomic factors such as interest rates, exchange rates, money supply, industrial production index, domestic gold prices, and the stock market index on stock return of Vietnamese listed commercial banks. The authors collect a sample of monthly secondary data over the period from January 2012 to June 2018 to analyze on panel data. The research method is the combination of two approaches: LASSO (The Least Absolute Shrinkage and Selection Operator)—a method of machine learning and Bayesian analysis. The result shows that the interest rates and the growth of industrial production index have significant impacts on the stock return of Vietnamese bank stocks with the probability 1 and 0.9, respectively. Whereas the interest rates have negative effect, the growth of industrial production index has positive effect. Besides, this paper shows no impact of the other macroeconomic factors, such as exchange rates, money supply M2, domestic gold prices, and VN-Index.
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